Bridging the Gap Between Ox and Gauss using OxGauss

The purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the console Ox version (free for academics), Gauss codes can either be called from Ox programs or run and executed on their own. While the new OxGauss version is very powerful in most circumstances, it is of little use once the purpose is to execute programs that attempt to solve optimization problems using Cml, Maxlik or Optmum. In this paper we propose a set of additional procedures that contribute to bridge the gap between Ox and three well-known Gauss application modules: Cml, Maxlik or Optmum.The effectiveness of our procedures is illustrated by revisiting a large number of freely available Gauss codes in which numerical optimization relies on the above Gauss application modules. The Gauss codes include many programs dealing with non-linear models such as the Markov regime-switching models STAR models and various GARCH-type models. These illustrations highlight a further potentially interesting implication of OxGauss: it enables non-Gauss users to replicate existing empirical results using freely available Gauss codes.econometrics;

Cross sectional averages or principal components?

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper offers an in-dept theoretical analysis of the issue.econometrics;

Autoregressive Wild Bootstrap Inference for Nonparametric Trends

In this paper we propose an autoregressive wild bootstrap method to construct confidence bands around a smooth deterministic trend. The bootstrap method is easy to implement and does not require any adjustments in the presence of missing data, which makes it particularly suitable for climatological applications. We establish the asymptotic validity of the bootstrap method for both pointwise and simultaneous confidence bands under general conditions, allowing for general patterns of missing data, serial dependence and heteroskedasticity. The finite sample properties of the method are studied in a simulation study. We use the method to study the evolution of trends in daily measurements of atmospheric ethane obtained from a weather station in the Swiss Alps, where the method can easily deal with the many missing observations due to adverse weather conditions

Identifiability issues of age-period and age-period-cohort models of the Lee-Carter type

The predominant way of modelling mortality rates is the Lee-Carter model and its many extensions. The Lee-Carter model and its many extensions use a latent process to forecast. These models are estimated using a two-step procedure that causes an inconsistent view on the latent variable. This paper considers identifiability issues of these models from a perspective that acknowledges the latent variable as a stochastic process from the beginning. We call this perspective the plug-in age-period or plug-in age-period-cohort model. Defining a parameter vector that includes the underlying parameters of this process rather than its realisations, we investigate whether the expected values and covariances of the plug-in Lee-Carter models are identifiable. It will be seen, for example, that even if in both steps of the estimation procedure we have identifiability in a certain sense it does not necessarily carry over to the plug-in models

Testing for Common Cyclical Features in Nonstationary Panel Data Models

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically stu dy and test for common structures and comovements in panel data with autocorrelation present and by an increase in efficiency coming from pooling procedures. We propose sequential testing procedures and study their properties in a small scale Monte Carlo analysis. Finally, we apply the framework to the well known permanent income hypothesis for 22 OECD countries, 1950-1992.Panel data, serial correlation common features, permanent income

Are Panel Unit Root Tests Useful for Real-Time Data?

With the development of real-time databases, N vintages are available for T observations instead of a single realization of the time series process. Although the use of panel unit root tests with the aim to gain in efficiency seems obvious, empirical and simulation results shown in this paper heavily mitigate the intuitive perspective.macroeconomics ;

Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectionaldependence including (but not exclusive to) the popular common factor framework. Weconsider block bootstrap versions of the group-mean Im, Pesaran, and Shin (2003) and thepooled Levin, Lin, and Chu (2002) unit root coefficient DF-tests for panel data, originallyproposed for a setting of no cross-sectional dependence beyond a common time effect. Thetests, suited for testing for unit roots in the observed data, can be easily implemented asno specification or estimation of the dependence structure is required. Asymptotic propertiesof the tests are derived for T going to infinity and N finite. Asymptotic validity of thebootstrap tests is established in very general settings, including the presence of commonfactors and even cointegration across units. Properties under the alternative hypothesisare also considered. In a Monte Carlo simulation, the bootstrap tests are found to haverejection frequencies that are much closer to nominal size than the rejection frequenciesfor the corresponding asymptotic tests. The power properties of the bootstrap tests appearto be similar to those of the asymptotic tests.Economics (Jel: A)